Volatility And Correlation Analysis Of China’s Gold Futures Based On GARCH Family Model

This paper selects the return series of China gold futures,London gold spot and China crude oil futures as the research variables to describe the volatility characteristics,measure the value of risk loss and analyze the market correlation.Firstly,build the GARCH model,and then GARCH(1,1)optimal model is selected,Secondly,build the TGARCH model.The estimated symmetry parameters are not 0.The symmetry coefficients of China gold and London gold are greater than 0,which indicates that bad news has greater impact on the volatility than good news;the symmetry coefficient of China crude oil is less than0,which indicates that good news has greater impact on the volatility of China crude oil than bad news.Thirdly,build the EGARCH model t based on t distribution and GED distribution.By comparing AIC and SIC with TGARCH(1,1),the optimal model is EGARCH(1,1).The Va R value is calculated by variance model,and it is found that the risk loss value and range of the spot market in London are the smallest,and the Chinese crude oil futures market is the largest;Finally,the correlation analysis shows that there is co integration relationship between China gold futures and London gold spot and China crude oil futures.The Granger reason of London gold type Chinese gold is also the reason.The VAR model is established to show that both London gold and Chinese crude oil have positive pulse on China gold,but the fluctuation of Chinese gold mainly comes from its own market.